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Risk Management and Financial Derivatives: An Overview

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva-tives” is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and simulat-ing Weibull models of risk or price durations: an application to ACD models, valua-tion of double trigger catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk premia in multi-national enterprises, solving replication problems in a complete market by orthogonal series expansion, downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks, and implied Sharpe ratios of portfolios with options: application to Nikkei futures and listed options.

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File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1210.pdf
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Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 12/10.

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Length: 14 pages
Date of creation: 30 Apr 2012
Date of revision:
Handle: RePEc:cbt:econwp:12/10
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  1. Chia-Lin Chang & Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," Documentos de Trabajo del ICAE 2011-35, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Hammoudeh, Shawkat & Araújo Santos, Paulo & Al-Hassan, Abdullah, 2013. "Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 318-334.
  3. Allen, David & Ng, K.H. & Peiris, Shelton, 2013. "Estimating and simulating Weibull models of risk or price durations: An application to ACD models," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 214-225.
  4. Divino, Jose Angelo & Rocha, Líneke Clementino Sleegers, 2013. "Probability of default in collateralized credit operations," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 276-292.
  5. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
  6. Dong, Chaohua & Gao, Jiti, 2013. "Solving replication problems in a complete market by orthogonal series expansion," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 306-317.
  7. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
  8. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
  9. Labuschagne, Coenraad C.A. & Offwood, Theresa M., 2013. "Pricing exotic options using the Wang transform," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 139-150.
  10. Jiang, I-Ming & Yang, Sheng-Yung & Liu, Yu-Hong & Wang, Alan T., 2013. "Valuation of double trigger catastrophe options with counterparty risk," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 226-242.
  11. Stefan Lutz, 2012. "Risk premia in multi-national enterprises," ICER Working Papers 08-2012, ICER - International Centre for Economic Research.
  12. Bai, Zhidong & Phoon, Kok Fai & Wang, Keyan & Wong, Wing-Keung, 2013. "The performance of commodity trading advisors: A mean-variance-ratio test approach," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 188-201.
  13. Akuzawa, Toshinao & Nishiyama, Yoshihiko, 2013. "Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 335-357.
  14. Mahmoud Hamada & Michael Sherris, 2003. "Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 19-47.
  15. Gonzalez-Perez, Maria T. & Guerrero, David E., 2013. "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 243-260.
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